Contractual terms and CDS pricing

Franck Packer and Haibin Zhu

BIS Quarterly Review, 2005

Abstract: Contractual terms related to the definition of trigger events and deliverable obligations on single-name CDSs are priced into CDS spreads. Pricing of the differences in contract terms appears to have generally converged over time, although there still seems to be evidence of a degree of regional fragmentation.

JEL-codes: G12 G13 (search for similar items in EconPapers)
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